A survey of recursive algorithms for the solution of the discrete time Riccati Equation
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Publication:4374196
DOI10.1016/S0362-546X(97)00062-XzbMath0888.93022OpenAlexW1990069045MaRDI QIDQ4374196
Sokratis K. Katsikas, Nicholas Assimakis, F. L. Sanida, Demetrios G. Lainiotis
Publication date: 10 May 1998
Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0362-546x(97)00062-x
convergenceestimationcomputational methodsKalman filterfilteringRiccati equationdiscrete-timesteady statedoubling algorithmLainiotis filtergeneral Chandrasekhar algorithm
Related Items (4)
Fast iterative solutions of Riccati and Lyapunov equations ⋮ Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain ⋮ Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices ⋮ Nonrecursive solution for the discrete algebraic Riccati equation and \(X + \mathcal A^\ast X^{-1}\mathcal A=L\)
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